IDEAS home Printed from https://ideas.repec.org/a/fip/fedhep/y1992imarp2-18nv.16no.2.html
   My bibliography  Save this article

Determining margin for futures contracts: the role of private interests and the relevance of excess volatility

Author

Listed:
  • James T. Moser

Abstract

No abstract is available for this item.

Suggested Citation

  • James T. Moser, 1992. "Determining margin for futures contracts: the role of private interests and the relevance of excess volatility," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 16(Mar), pages 2-18.
  • Handle: RePEc:fip:fedhep:y:1992:i:mar:p:2-18:n:v.16no.2
    as

    Download full text from publisher

    File URL: http://www.chicagofed.org/digital_assets/publications/economic_perspectives/1992/ep_mar_apr1992_part1_moser.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Lester G. Telser, 1981. "Margins and futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(2), pages 225-253, June.
    2. Hsieh, David A & Miller, Merton H, 1990. " Margin Regulation and Stock Market Volatility," Journal of Finance, American Finance Association, vol. 45(1), pages 3-29, March.
    3. Poterba, James M & Summers, Lawrence H, 1986. "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, American Economic Association, vol. 76(5), pages 1142-1151, December.
    4. Gikas A. Hardouvelis, 1988. "Margin requirements and stock market volatility," Quarterly Review, Federal Reserve Bank of New York, vol. 13(Sum), pages 80-89.
    5. James T. Moser, 1990. "Evidence on the impact of futures margin specifications on the performance of futures and cash markets," Working Paper Series, Issues in Financial Regulation 90-20, Federal Reserve Bank of Chicago, revised 1990.
    6. Raymond P. H. Fishe & Lawrence G. Goldberg, 1986. "The effects of margins on trading in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(2), pages 261-271, June.
    7. Schwert, G William & Seguin, Paul J, 1990. " Heteroskedasticity in Stock Returns," Journal of Finance, American Finance Association, vol. 45(4), pages 1129-1155, September.
    8. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    9. Salinger, M.A., 1989. "Stock Market Margin Requirements And Volatility: Implications For Regulation Of Stock Index Futures," Papers t4, Columbia - Center for Futures Markets.
    10. Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 269-283, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
    2. Shanker, Latha & Balakrishnan, Narayanaswamy, 2005. "Optimal clearing margin, capital and price limits for futures clearinghouses," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1611-1630, July.
    3. Paul Kofman & James T. Moser, 2001. "Stock margins and the condition probability of price reversals," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q III), pages 2-12.

    More about this item

    Keywords

    Margins (Security trading); Futures; Risk;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedhep:y:1992:i:mar:p:2-18:n:v.16no.2. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bernie Flores). General contact details of provider: http://edirc.repec.org/data/frbchus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.